A characterization of martingale-equivalent compound mixed Poisson process
| Autor: | Lyberopoulos, Demetrios P., Macheras, Nikolaos D. |
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| Rok vydání: | 2019 |
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| Druh dokumentu: | Working Paper |
| Popis: | If a given aggregate process $S$ is a compound mixed Poisson process under a probability measure $P$, a characterization of all probability measures $Q$ on the domain of $P$, such that $P$ and $Q$ are progressively equivalent and $S$ remains a compound mixed Poisson process with improved properties, is provided. This result generalizes earlier work of Delbaen & Haezendonck (1989). Implications related to the computation of premium calculation principles in an insurance market possessing the property of no free lunch with vanishing risk are also discussed. Comment: 28 pages including an appendix |
| Databáze: | arXiv |
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